coint_ghansen

Purpose

Computes the tests for the null of no cointegration against the alternative of cointegration with a structural break in the mean.

Format

{ ADF_min, TBadf, Zt_min, TBzt, Za_min, TBza, cvADFZt, cvZa } = coint_ghansen(y, x, model[, bwl, ic, pmax, varm, trimm])

Parameters:

• y (Nx1 matrix) – Dependent variable.

• x (NxK matrix) – Independent variable.

• model (Scalar) –

  Model to be implemented.

  1	Level shift (C)
  2	Level shift with trend (C/T)
  3	Regime shift (C/S)
  4	Regime and trend shift

• bwl (Scalar) – Optional, bandwidth length for long-run variance computation. Default = round(4 * (T/100)^(2/9)).

• ic (Scalar) –

  Optional, the information criterion used for choosing lags. Default = 3.

  1	Akaike.
  2	Schwarz.
  3	t-stat significance

• pmax (Scalar) – Optional, maximum number of lags for \(\Delta y\) in ADF test. Default = 8.

• varm (Scalar) –

  Optional, long-run consistent variance estimation method. Default = 1.

  1	iid.
  2	Bartlett.
  3	Quadratic Spectral (QS).
  4	SPC with Bartlett (Sul, Phillips & Choi, 2005)
  5	SPC with QS
  6	Kurozumi with Bartlett
  7	Kurozumi with QS

• trimm (Scalar) – Optional, trimming rate. Default = 0.10.

Returns:

• ADFmin (Scalar) – ADF test statistic

• TBadf (Scalar) – Break point using OLS.

• Zamin (Scalar) – Za test statistic

• TBza (Scalar) – Break point for using Za statistic.

• Ztmin (Scalar) – Zt test statistic

• TB_zt (Scalar) – Break point using Zt statistic.

• cvADFZt (Scalar) – 1%, 5%, 10% critical values for ADF and Zt test statistics.

• cvZa (Scalar) – 1%, 5%, 10% critical values for Za test statistics.

Examples

new;
cls;
library tspdlib;

// Load dataset
data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_coint.csv",
                          ". + date($Date, '%b-%y')");

// Define y and x matrix
y = data[., 1];
x = data[., 2:cols(data)];

// Level shift
model = 1;

// Call test
{ ADF_min, TBadf, Zt_min, TBzt, Za_min, TBza, cvADFZt, cvZa } = coint_ghansen(y, x, model);

Source

coint_ghansen.src

See also

Functions coint_cissanso(), coint_egranger(), coint_hatemij(), coint_maki()